Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2743 |
| Annualized Std Dev | 0.3872 |
| Annualized Sharpe (Rf=0%) | -0.7083 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3696.0000 |
| NAs | 1.0000 |
| Minimum | -0.2224 |
| Quartile 1 | -0.0109 |
| Median | -0.0014 |
| Arithmetic Mean | -0.0010 |
| Geometric Mean | -0.0013 |
| Quartile 3 | 0.0075 |
| Maximum | 0.2451 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0018 |
| UCL Mean (0.95) | -0.0002 |
| Variance | 0.0006 |
| Stdev | 0.0244 |
| Skewness | 0.0159 |
| Kurtosis | 15.4336 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0169 |
| Gain Deviation | 0.0202 |
| Loss Deviation | 0.0183 |
| Downside Deviation (MAR=210%) | 0.0219 |
| Downside Deviation (Rf=0%) | 0.0174 |
| Downside Deviation (0%) | 0.0174 |
| Maximum Drawdown | 0.9934 |
| Historical VaR (95%) | -0.0330 |
| Historical ES (95%) | -0.0563 |
| Modified VaR (95%) | -0.0334 |
| Modified ES (95%) | -0.0334 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-17 | NA | -0.9934 | 3102 | 3099 | NA |
| 2006-07-18 | 2007-10-09 | 2008-10-07 | -0.4040 | 561 | 310 | 251 |
| 2008-10-28 | 2008-11-04 | 2008-11-20 | -0.3157 | 18 | 6 | 12 |
| 2008-10-13 | 2008-10-13 | 2008-10-27 | -0.1915 | 11 | 1 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | 1.2 | -1.1 | 0.7 | 0.8 | 0.6 | 0.5 | 2.7 |
| 2007 | -0.9 | 0.3 | -0.2 | -0.9 | -0.4 | -0.2 | -2.1 | -1.3 | -2 | 3.9 | -0.5 | 1.6 | -2.8 |
| 2008 | -2.2 | 4.8 | -6.7 | -3.1 | 0.3 | -0.6 | 0.4 | 2.3 | -0.4 | -3.2 | 14.8 | -2.3 | 2.7 |
| 2009 | 3.4 | 2.9 | -4.1 | -1.3 | -4.5 | -0.9 | -0.3 | 3.8 | 4.1 | 5 | -2.3 | 2.2 | 7.4 |
| 2010 | -2.5 | -1.3 | -1.4 | 2.9 | 2.3 | 0.8 | -0.1 | -5.2 | -0.8 | -0.1 | -4.5 | -0.3 | -10.1 |
| 2011 | -2.5 | 3 | -0.7 | -0.7 | 4.4 | -2.7 | 0.2 | 2 | 4.3 | 4.9 | 0 | 1.1 | 13.4 |
| 2012 | -1.3 | -0.4 | -1.1 | -1 | 4.5 | -4.4 | 0.5 | -1.4 | -1 | -2 | 0 | -2.8 | -10.2 |
| 2013 | -2 | -0.7 | 0.1 | 1.7 | 2.7 | -1 | -1.5 | 0.5 | -0.8 | -0.7 | 0.1 | -0.9 | -2.6 |
| 2014 | 1.9 | -0.6 | -0.9 | 0.3 | -0.3 | -1.5 | 0.9 | -0.2 | 2.9 | -2.2 | 0.6 | 1.6 | 2.4 |
| 2015 | 2.7 | 1 | 0.8 | -1.9 | -0.3 | -1.7 | 0.6 | 5.5 | 0 | 0.9 | -1.7 | 2 | 7.9 |
| 2016 | 0 | -4.3 | -1.2 | 0.5 | -0.1 | -0.3 | 0.4 | -0.1 | -1.7 | 1.1 | -0.6 | 0.4 | -5.7 |
| 2017 | -0.1 | -2.8 | 0.6 | 0.2 | -1.3 | -0.6 | -0.4 | -0.4 | -0.1 | -0.4 | 0.1 | 0.6 | -4.5 |
| 2018 | -0.4 | 3.3 | -2.4 | 0.7 | -1.8 | -0.5 | 0.7 | 0.2 | -1.6 | -2.1 | -1.5 | -2.4 | -7.7 |
| 2019 | -0.4 | -0.8 | -2.4 | 1.1 | 2.7 | -1 | 2.1 | -0.2 | 2.7 | -2 | 0.6 | -0.4 | 1.7 |
| 2020 | 4.2 | 2.5 | 8.9 | 5 | -0.8 | 0.3 | -0.9 | -1.8 | -0.3 | 1.1 | -1.2 | -1.1 | 16.6 |
| 2021 | -1.5 | -3.8 | 1.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-07-13 1180. SPY 124 -0.0163 -0.027 0.0118 -0.0379 0.0128 0.231 0.0416 GLD 65.6 0.0097 0.0401
2 2006-07-14 1201. SPY 124. -0.0039 -0.0244 0.0002 -0.0403 0.005 0.229 0.0319 GLD 65.8 0.0046 0.0514
3 2006-07-17 1202. SPY 123. -0.0015 -0.0277 -0.022 -0.0413 0.0041 0.234 0.043 GLD 64.0 -0.0289 0.0311
4 2006-07-18 1190. SPY 124. 0.0051 -0.027 -0.0055 -0.0515 0.0132 0.259 0.0472 GLD 62.9 -0.0164 -0.0143
5 2006-07-19 1145. SPY 126. 0.0139 -0.00290 0.0163 -0.0402 0.0217 0.263 0.0371 GLD 64.0 0.018 -0.0137
6 2006-07-20 1162. SPY 125. -0.0068 0.0067 0.006 -0.048 0.0113 0.270 0.0212 GLD 62.5 -0.0233 -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
